On the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models

Takuji Arai; Yuto Imai

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arXiv · 1610.09085

On the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models

Takuji Arai·Yuto Imai

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Abstract

We discuss the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models, where delta hedging strategies in this paper are defined under the minimal martingale measure. We give firstly model-independent upper estimations for the difference. In addition we show numerical examples for two typical exponential L\'evy models: Merton models and variance gamma models.

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Takuji Arai, Yuto Imai. 2016-10-28. On the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models. https://arxiv.org/abs/1610.09085

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